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The Stochastic Behavior of Commodity Prices with Heteroskedasticity in the Convenience Yield [PDF]

, 2011
We document a new stylized fact regarding the dynamics of the commodity convenience yield: the volatility of the convenience yield is heteroskedastic for industrial commodities; specifically, the volatility (variance) of the convenience yield depends on ...
Peng Liu, Ke Tang
semanticscholar   +2 more sources

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The Determinants of Marginal Convenience Yield in Agricultural Commodity Markets

Journal of futures markets
We report a significant downward trend in the convenience yield for holding physical inventory in agricultural commodity futures markets, attributing this negative trend to speculative demand shocks, which in turn, leads in decreasing agricultural ...
Theodora Bermpei, Athanasios Triantafyllou   +1 more
semanticscholar   +1 more source

Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods

Review of Derivatives Research, 2021
Zonggang Ma, Chaoqun Ma, Zhijian Wu
semanticscholar   +1 more source

The dollar’s “Convenience Yield”

Finance Research Letters, 2022
Michel A. Robe
semanticscholar   +1 more source

Analytically pricing crude oil options under a jump-diffusion model with stochastic liquidity risk and convenience yield

The North American journal of economics and finance
Sha Lin, Meiling Chen, Xin‐Jiang He
semanticscholar   +1 more source

Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals

, 2017
A. Omura, Bin Li, R. Chung, N. Todorova
semanticscholar   +1 more source

Convenience yield of accessible inventories and imports: A case study of the Chinese copper market

, 2017
Soohyeon Kim, Jihyo Kim, Eunnyeong Heo
semanticscholar   +1 more source

Convenience yield in commodity price modeling: A regime switching approach

, 2016
Abdullah Almansour
semanticscholar   +1 more source

The Dollar's 'Convenience Yield'

, 2017
Michel A. Robe
semanticscholar   +1 more source

Relative scarcity and convenience yield: evidence from non-ferrous metals

, 2016
A. Omura, R. Chung, N. Todorova, Bin Li
semanticscholar   +1 more source